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Costas Siriopoulos and Dionisis Philippas
 
''Putting corona into hedge fund managers' head''
( 2024, Vol. 44 No.1 )
 
 
The paper discusses the sensitivity of hedge funds' risk of failure, attributed to Covid-19 outbreak using a non-linear threshold multivariate analysis. The empirical results indicate that hedge funds shift their attention more towards informative signals depicting the impact of the Covid-19 pandemic and less towards indicators that reflect market sentiment, volatility, and momentum. By understanding the behaviour of active managers and their risk perception in relation with the impact of Covid-19 outbreak, we gain insights into the extent to which certain factors continue to play key role in hedge funds' risk perception during exceptional times such as the post Covid-19 period.
 
 
Keywords: hedge funds, leverage, risk perception, conditional VaR, Covid-19
JEL: Y1 - Special Issue in Honor of Michel Terraza
G1 - General Financial Markets
 
Manuscript Received : Apr 02 2021 Manuscript Accepted : Mar 30 2024

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